No System Data Found Error

[LunaMoo]

After confirming that message, you should get a window to save data, after successful save the game will start and the message will never show up again.

What you're describing does look exactly like common problem of people pressing wrong button for confirmation, so if you're sure you don't, it might be a problem with input, try remapping your controls making sure X and O aren't mapped to same keys and if you're using some badly supported non-pc-native gamepad(like ds4), you might want to remove all default mapping for dinput/xinput and map it again making sure you get only one input from pressing each button as I believe they by default might be using both dinput and xinput with keys swapped, so it could be pressing both X and O whenever one of those is selected.